Mobile ectothermic animals can control their body temperatures by selecting specific thermal conditions in the environment, but embryos--trapped within an immobile egg and lacking locomotor structures--have been assumed to lack that ability. Falsifying that assumption, our experimental studies show that even early stage turtle embryos move within the egg to exploit small-scale spatial thermal heterogeneity. Behavioral thermoregulation is not restricted to posthatching life and instead may be an important tactic in every life-history stage.